THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS AND CREDIT RATING ANNOUNCEMENTS: AN INVESTIGATION IN THE CONTEXT OF EMERGING COUNTRIES

Yıl 2019, Sayı: 24, 301 - 314, 24.07.2019

İbrahim Yaşar Gök Zühal Arslan

https://doi.org/10.18092/ulikidince.534908

Cited By: 2

Öz

In this
study, the response of credit default swap (CDS) spreads to the credit rating
announcements is explored in the context of some emerging countries including
Turkey, China, South Africa, Brazil and Russia. By applying an event study
analysis and using data for credit rating announcements of Moody’s, Fitch and
S&P and daily 5-year CDS spreads for the period June 01, 2009, to May 31,
2018, it is found that positive credit rating events significantly decrease CDS
spreads, whereas it is vice versa for negative credit rating events. While negative
events have been anticipated by CDS markets, it is not the case for positive
events. Moreover, after negative credit rating announcements, CDS spreads start
to decrease significantly. However, it is not found any significant change in CDS
spreads following the positive events. In general, it is concluded that credit
rating events convey valuable information to CDS markets especially around the
announcement date, and it is identified that both negative and positive credit
rating events are important determinants of CDS spreads.

KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA

Öz

Bu çalışmada, kredi temerrüt swap (CDS)
spreadlerinin kredi derecelendirme duyurularına tepkisi, aralarında Türkiye,
Çin, Güney Afrika, Brezilya ve Rusya’nın yer aldığı bazı gelişmekte olan
ülkeler kapsamında araştırılmıştır. Olay çalışması analizi uygulanarak ve 1
Haziran 2009 - 31 Mayıs 2018 dönemi için Moody’s, Fitch ve S&P’nin kredi
derecelendirme duyuruları ile 5-yıllık CDS spreadlerinin günlük verileri
kullanılarak, pozitif kredi derecelendirme olaylarının CDS spreadlerini anlamlı
bir şekilde azalttığı, negatif kredi derecelendirme olaylarının ise tam tersi
bir etkiyi doğurduğu bulunmuştur. Negatif olaylar CDS piyasaları tarafından
öngörülebilirken, bu durum pozitif olaylar için doğrulanamamıştır. Üstelik, CDS
spreadleri negatif kredi derecelendirme duyuruları sonrasında anlamlı bir
şekilde düşmeye başlamaktadır. Bununla birlikte, pozitif olayları takiben CDS
spreadlerinde anlamlı bir değişiklik tespit edilmemiştir. Genel olarak, kredi
derecelendirme olaylarının özellikle duyuru tarihi etrafında CDS piyasaları
için önemli bir bilgisel içerik teşkil ettiği sonucuna ulaşılmış ve hem negatif
hem de pozitif kredi derecelendirme olaylarının CDS spreadlerinin önemli
belirleyicileri olduğu açıklığa kavuşturulmuştur.

Anahtar Kelimeler

Kredi Derecelendirme Duyuruları, Kredi Derecelendirme Kuruluşları, Kredi Temerrüt Swapı, Gelişmekte Olan Ülkeler

Kaynakça

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